Advanced Search
MyIDEAS: Login to save this paper or follow this series

A likelihood ratio test for stationarity of rating transitions

Contents:

Author Info

  • Weißbach, Rafael
  • Walter, Ronja
Registered author(s):

    Abstract

    For a time-continuous discrete-state Markov process as model for rating transitions, we study the time-stationarity by means of a likelihood ratio test. For multiple Markov process data from a multiplicative intensity model, maximum likelihood parameter estimates can be represented as martingale transform of the processes counting transitions between the rating states. As a consequence, the profile partial likelihood ratio is asymptotically X-2-distributed. An internal rating data set reveals highly significant instationarity. --

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://econstor.eu/bitstream/10419/36578/1/600409538.PDF
    Download Restriction: no

    Bibliographic Info

    Paper provided by Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen in its series Technical Reports with number 2008,27.

    as in new window
    Length:
    Date of creation: 2008
    Date of revision:
    Handle: RePEc:zbw:sfb475:200827

    Contact details of provider:
    Postal: Vogelpothsweg 78, D-44221 Dortmund
    Phone: (0231) 755-3125
    Fax: (0231) 755-5284
    Web page: http://www.statistik.tu-dortmund.de/sfb475.html
    More information through EDIRC

    Related research

    Keywords: Stationarity; Multiple Markov process; Counting process; Likelihood ratio; Panel data;

    Find related papers by JEL classification:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Kiefer, Nicholas M. & Larson, C. Erik, 2006. "A Simulation Estimator for Testing the Time Homogeneity of Credit Rating Transition," Working Papers, Cornell University, Center for Analytic Economics 06-10, Cornell University, Center for Analytic Economics.
    2. Christensen, Jens H.E. & Hansen, Ernst & Lando, David, 2004. "Confidence sets for continuous-time rating transition probabilities," Journal of Banking & Finance, Elsevier, Elsevier, vol. 28(11), pages 2575-2602, November.
    3. Lando, David & Skodeberg, Torben M., 2002. "Analyzing rating transitions and rating drift with continuous observations," Journal of Banking & Finance, Elsevier, Elsevier, vol. 26(2-3), pages 423-444, March.
    4. Kiefer, Nicholas M., 1985. "Specification diagnostics based on Laguerre alternatives for econometric models of duration," Journal of Econometrics, Elsevier, Elsevier, vol. 28(1), pages 135-154, April.
    5. Anil Bangia & Francis X. Diebold & Til Schuermann, 2000. "Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania 00-26, Wharton School Center for Financial Institutions, University of Pennsylvania.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:zbw:sfb475:200827. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.